Forward-backward SDEs and the CIR model

DOI10.1016/j.spl.2007.04.007zbMath1139.60327OpenAlexW1995140868MaRDI QIDQ2471244

Cody Blaine Hyndman

Publication date: 22 February 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.04.007

zbMATH Keywords

Riccati equationsforward-backward stochastic differential equationsCIR modelBond price

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

Related Items (3)

A BSDE approach for bond pricing under interest rate models with self-exciting jumps ⋮ A forward-backward SDE approach to affine models ⋮ Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models

Cites Work

• Unnamed Item
• Linear forward-backward stochastic differential equations
• The Riccati equation in mathematical finance.
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Backward Stochastic Differential Equations in Finance
• A general characterization of one factor affine term structure models
• Stochastic flows and the forward measure

This page was built for publication: Forward-backward SDEs and the CIR model